NCNO Options History — December 2020

In December 2020, NCNO traded between $72.59 and $89.87. ATM implied volatility averaged 63.0%. The 30-day expected move averaged 17.6%. IV traded above realized volatility by 15.0% (HV 20d: 48.0%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.57.

Notable Days

  • 2020-12-18: Highest Volume — 3,165 contracts
  • 2020-12-09: Largest IV drop — 13.7% change
  • 2020-12-09: Largest Expected Move — 19.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.94$72.59$89.87$82.81$72.59
Max Pain$79.09$75.00$80.00$75.00$75.00
ATM IV63.0%57.4%79.1%62.9%63.3%
Expected Move17.6%16.5%19.6%18.0%18.1%
HV 20d48.0%33.2%57.0%41.7%56.8%
HV 60d48.3%45.1%50.5%48.1%48.9%
Term Structure-3.3%-6.8%-0.4%-6.0%-4.3%
VWIV62.2%58.7%69.0%63.0%64.1%
Skew 25d-1.5%-5.5%3.5%2.8%-2.8%
Skew 10d-2.2%-7.1%8.5%8.5%-3.5%
Call IV 25d62.9%59.4%70.5%61.9%64.4%
Put IV 25d61.4%57.7%67.0%64.7%61.6%
Bid-Ask Spread %47.7631.0865.2755.4961.98
Gamma HHI0.250.120.880.200.42
Net GEX479.3K-263.8K3.4M564.8K-263.8K
Net DEX-9.4M-29.8M3.0M-16.5M3.0M
Net VEX-56.0K-69.4K-40.8K-58.6K-58.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.081.590.140.92
Total Volume1,102.6821533,165167886
Total OI8,603.3645,33012,0466,7417,704

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$82.81$75.0062.9%18.0%41.7%0.0%63.0%2.8%-6.0%564.8K-16.5M-58.6K0.1455.49N/AN/A147204,8701,871
2020-12-02$81.23$75.0064.5%18.5%41.1%0.0%64.4%3.2%-5.7%567.3K-14.5M-56.7K1.0858.29N/AN/A1181284,9121,867
2020-12-03$83.40$80.0065.4%17.4%39.1%0.0%60.0%2.5%-3.2%586.0K-17.5M-58.0K0.0836.85N/AN/A579484,9751,936
2020-12-04$83.48$80.0068.1%18.0%38.6%0.0%61.1%3.5%-5.2%619.0K-18.2M-60.1K0.3435.92N/AN/A5861995,2291,939
2020-12-07$86.91$80.0075.2%18.2%40.6%0.0%63.7%1.3%-3.7%697.2K-23.9M-58.6K0.1434.82N/AN/A1,1711695,4961,957
2020-12-08$89.87$80.0079.1%18.5%33.2%0.0%65.1%0.1%-4.1%814.5K-29.8M-60.1K0.3432.83N/AN/A2,1747486,0172,022
2020-12-09$84.81$80.0068.3%19.6%39.7%0.0%69.0%-3.5%-6.8%859.5K-23.6M-69.4K0.5331.08N/AN/A1,6578867,9642,448
2020-12-10$81.24$80.0059.2%17.0%43.7%0.0%62.1%-1.7%-2.6%760.1K-14.2M-59.7K0.4138.73N/AN/A1,4706028,9182,898
2020-12-11$81.99$80.0059.1%17.0%42.7%0.0%60.8%-1.7%-2.8%822.3K-15.8M-58.2K0.0939.68N/AN/A348318,8272,723
2020-12-14$80.58$80.0058.2%16.7%43.5%0.0%61.1%-3.1%-2.6%771.3K-12.6M-50.1K1.0939.00N/AN/A2062248,7372,710
2020-12-15$75.26$80.0057.5%16.5%50.0%0.0%58.7%-3.0%-0.4%459.1K-121.9K-42.5K0.4841.19N/AN/A7133448,6612,829
2020-12-16$73.85$80.0057.4%16.5%50.1%0.0%61.0%-3.5%-1.4%240.1K3.0M-40.8K1.1155.19N/AN/A6086738,5962,975
2020-12-17$75.40$80.0059.4%17.0%50.6%0.0%60.4%-3.9%-1.9%374.0K445.3K-44.9K0.5845.40N/AN/A7324268,5563,083
2020-12-18$80.40$80.0059.2%17.0%54.5%0.0%61.0%-3.7%-1.2%3.4M-13.7M-50.4K0.1947.54N/AN/A2,6535128,6623,384
2020-12-21$79.01$80.0062.2%17.8%54.3%0.0%63.5%-1.4%-3.2%44.1K-3.8M-52.1K0.1747.85N/AN/A7471283,1442,186
2020-12-22$82.26$80.0059.8%17.1%55.6%0.0%60.1%-2.5%-1.4%117.1K-6.5M-55.5K1.5949.46N/AN/A7041,1163,2752,257
2020-12-23$80.34$80.0061.0%17.5%55.2%0.0%61.4%-3.1%-2.4%-59.4K-3.7M-59.4K0.8753.84N/AN/A2572243,3983,314
2020-12-24$78.38$80.0060.9%17.5%55.0%0.0%61.8%-3.0%-2.2%-110.0K-2.0M-61.5K0.1455.55N/AN/A134193,5083,455
2020-12-28$74.83$80.0062.5%17.9%57.0%0.0%62.2%-5.5%-3.8%-219.3K1.3M-57.8K1.1460.87N/AN/A3493993,5183,478
2020-12-29$74.93$80.0061.2%17.5%57.0%0.0%61.4%-2.1%-3.8%-255.1K1.7M-58.2K0.1763.97N/AN/A6761173,6383,687
2020-12-30$75.02$75.0061.1%17.5%56.1%0.0%61.8%-2.4%-3.4%-206.8K433.1K-59.9K0.8865.27N/AN/A1761553,9123,738
2020-12-31$72.59$75.0063.3%18.1%56.8%0.0%64.1%-2.8%-4.3%-263.8K3.0M-58.9K0.9261.98N/AN/A4614253,9503,754